An infinite-horizon mean field game of growth and capital accumulation: A markov chain approximation numerical scheme and its challenges

Chee Kian Leong

doi:10.1007/978-3-030-39789-0_8

An infinite-horizon mean field game of growth and capital accumulation: A markov chain approximation numerical scheme and its challenges

Chee Kian Leong

School of Economics

Research output: Chapter in Book/Conference proceeding › Book Chapter › peer-review

Abstract

In this paper, we characterize an infinite-horizon mean field game of growth and capital accumulation. We present a Markov chain approximation scheme (Kushner, Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method. In: Chow PL, Yin G, Mordukhovich B (eds) Topics in stochastic analysis and nonparametric estimation. The IMA volumes in mathematics and its applications, vol 145. Springer, New York, 2008, pp 51–84) as potentially useful for obtain the numerical (Formula Presented)-Nash equilibrium solution to the infinite-horizon mean field system of equations and highlight some of the key challenges in implementing the scheme.

Original language	English
Title of host publication	Annals of the International Society of Dynamic Games
Publisher	Birkhauser
Pages	229-238
Number of pages	10
DOIs	https://doi.org/10.1007/978-3-030-39789-0_8
Publication status	Published - 2020

Publication series

Name	Annals of the International Society of Dynamic Games
Volume	16
ISSN (Print)	2474-0179
ISSN (Electronic)	2474-0187

Keywords

(Formula Presented)-Nash equilibrium
Markov-chain approximation
Mean field games

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1007/978-3-030-39789-0_8

Cite this

@inbook{d981cb9c5b874b8bb63faec0f932d3d0,

title = "An infinite-horizon mean field game of growth and capital accumulation: A markov chain approximation numerical scheme and its challenges",

abstract = "In this paper, we characterize an infinite-horizon mean field game of growth and capital accumulation. We present a Markov chain approximation scheme (Kushner, Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method. In: Chow PL, Yin G, Mordukhovich B (eds) Topics in stochastic analysis and nonparametric estimation. The IMA volumes in mathematics and its applications, vol 145. Springer, New York, 2008, pp 51–84) as potentially useful for obtain the numerical (Formula Presented)-Nash equilibrium solution to the infinite-horizon mean field system of equations and highlight some of the key challenges in implementing the scheme.",

keywords = "(Formula Presented)-Nash equilibrium, Markov-chain approximation, Mean field games",

author = "Leong, {Chee Kian}",

year = "2020",

doi = "10.1007/978-3-030-39789-0_8",

language = "English",

series = "Annals of the International Society of Dynamic Games",

publisher = "Birkhauser",

pages = "229--238",

booktitle = "Annals of the International Society of Dynamic Games",

}

An infinite-horizon mean field game of growth and capital accumulation: A markov chain approximation numerical scheme and its challenges. / Leong, Chee Kian.
Annals of the International Society of Dynamic Games. Birkhauser, 2020. p. 229-238 (Annals of the International Society of Dynamic Games; Vol. 16).

Research output: Chapter in Book/Conference proceeding › Book Chapter › peer-review

TY - CHAP

T1 - An infinite-horizon mean field game of growth and capital accumulation

T2 - A markov chain approximation numerical scheme and its challenges

AU - Leong, Chee Kian

PY - 2020

Y1 - 2020

N2 - In this paper, we characterize an infinite-horizon mean field game of growth and capital accumulation. We present a Markov chain approximation scheme (Kushner, Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method. In: Chow PL, Yin G, Mordukhovich B (eds) Topics in stochastic analysis and nonparametric estimation. The IMA volumes in mathematics and its applications, vol 145. Springer, New York, 2008, pp 51–84) as potentially useful for obtain the numerical (Formula Presented)-Nash equilibrium solution to the infinite-horizon mean field system of equations and highlight some of the key challenges in implementing the scheme.

AB - In this paper, we characterize an infinite-horizon mean field game of growth and capital accumulation. We present a Markov chain approximation scheme (Kushner, Numerical methods for non-zero-sum stochastic differential games: convergence of the Markov chain approximation method. In: Chow PL, Yin G, Mordukhovich B (eds) Topics in stochastic analysis and nonparametric estimation. The IMA volumes in mathematics and its applications, vol 145. Springer, New York, 2008, pp 51–84) as potentially useful for obtain the numerical (Formula Presented)-Nash equilibrium solution to the infinite-horizon mean field system of equations and highlight some of the key challenges in implementing the scheme.

KW - (Formula Presented)-Nash equilibrium

KW - Markov-chain approximation

KW - Mean field games

UR - http://www.scopus.com/inward/record.url?scp=85090703066&partnerID=8YFLogxK

U2 - 10.1007/978-3-030-39789-0_8

DO - 10.1007/978-3-030-39789-0_8

M3 - Book Chapter

AN - SCOPUS:85090703066

T3 - Annals of the International Society of Dynamic Games

SP - 229

EP - 238

BT - Annals of the International Society of Dynamic Games

PB - Birkhauser

ER -

An infinite-horizon mean field game of growth and capital accumulation: A markov chain approximation numerical scheme and its challenges

Abstract

Publication series

Keywords

ASJC Scopus subject areas

UN SDGs

Access to Document

Other files and links

Fingerprint

Cite this